Asset Pricing under the Quadratic Class

By Markus Leippold, Liuren Wu. Journal of Financial and Quantitative Analysis, 2002

258 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3a80dac58a0a9bd78287c2856ff773a76f0a41c9

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Citations in the corpus

QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES (2004, unknown): “Moreover, as shown for example in Leippold and Wu (2002), this property is the key to the Fourier analytic approach to pricing European options.”
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, unknown): “Beaglehole and Tenney (1991), Ahn, Dittmar, and Gallant (2002) and Leippold and Wu (2002) .”
Term Structure Dynamics in Theory and Reality (2003, methodology): “, DS, and Leippold and Wu (2001)], so long as yields on bonds with maturities that span the humps are used in estimation. The economic reasons for the different shapes in Figure 1 remain largely unexplored, though the differing patterns pre- and post-1979 are suggestive. In a study of U.S. Treasury ”
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2012, unknown): “Leippold and Wu (2007) study the joint behavior of exchanges rates and bond yields using a QG model for Japan and the US.”
Quadratic Variance Swap Models (2016, unknown): “Various extensions of affine models have been suggested by, e.g., Constantinides (1992), Goldstein (2000), Leippold and Wu (2002), Collin-Dufresne and Goldstein (2002), Ahn, Dittmar, and Gallant (2002), Kimmel (2004), and Collin-Dufresne, Goldstein, and Jones (2009).”
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors (2008, methodology): “The approach we adopt is a quadratic term structure model (e.g., Constantinides (1992), Ahn, Dittmar, and Gallant (2002), and Leippold and Wu (2002)) with a time-dependent drift adjustment (e.g., Scott (1996), Chen and Yang (2003)).”
Continuous Time Wishart Process for Stochastic Risk (2006, background): “…term structure models introduced in the literature for risk-free bonds (Ahn et al., 2002; Constantinides, 1992; Gourieroux and Sufana, 2003; Leippold and Wu, 2002), and the so-called reduced-form model for credit risk, in which rt and i ,t are linear combinations of independent CIR…”
SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM (2002, unknown): “…term structure (QTS) models There have recently been both theoretical and empirical interest in QTS models, see Boyle dnd Tian (1999) Leippold and Wu (2002), and Gombani and Runggaldier (2000) We formulate the appropriate conditions under which Z IS necessarily an OrnsteinUhlenbeck type…”
Time-Changed Levy Processes and Option Pricing ⁄ (2002, unknown): “The proof follows Leippold and Wu (2002). Formally, under non-degeneracy conditions and a possible re-scaling and rotation of indices, we let”
Estimation of Dynamic Term Structure Models (2012, background): “Nonlinearities are documented in Pfann et al. (1996), Aït-Sahalia (1996), Conley et al.”
Whishart Quadratic Term Structure Models (2003, unknown): “At first sight, the construction of the WAR process looks similar to the construction of factors in a standard quadratic term structure model [see e.g. Longstaff (1989), Constantinides (1992), Beaglehole and Tenney (1992), Leippold and Wu (2001, 2002), Ahn, Dittmar, and Gallant (2002)].”